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On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity

Ling, Shiqing; Li, W.K. - In: Journal of the American Statistical Association : JASA 92 (1997) 439, pp. 1184-1194

Persistent link: https://www.econbiz.de/10006630183

Time series - Joint modeling of cointegration and conditional heteroscedasticity with applications

Wong, Heung; Li, W.K.; Ling, Shiqing - In: Annals of the Institute of Statistical Mathematics : AISM 57 (2005) 1, pp. 83-104

Persistent link: https://www.econbiz.de/10006546003

ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS

Ling, Shiqing; Li, W.K. - In: Econometric Theory 19 (2003) 04, pp. 541-564

Persistent link: https://www.econbiz.de/10005250153

Recent Theoretical Results for Time Series Models with GARCH Errors

Li, W.K.; Ling, Shiqing; McAleer, Michael - In: Journal of economic surveys 16 (2002) 3, pp. 245-270

Persistent link: https://www.econbiz.de/10007661927

ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS

Ling, Shiqing; Li, W.K. - In: Econometric theory 19 (2003) 4, pp. 541-564

Persistent link: https://www.econbiz.de/10006968113

ARTICLES - Asymptotic Inference for Nonstationary Fractionally Integrated Autoregressive Moving-Average Models

Ling, Shiqing; Li, W.K. - In: Econometric theory 17 (2001) 4, pp. 738-764

Persistent link: https://www.econbiz.de/10006978088

Adaptive estimators and tests of stationary and nonstationary short- and long-memory ARFIMA-GARCH models

Ling, Shiqing - In: Journal of the American Statistical Association : JASA 98 (2003) 464, pp. 955-967

Persistent link: https://www.econbiz.de/10001975424

Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

Ling, Shiqing - In: Journal of econometrics 140 (2007) 2, pp. 849-873

Persistent link: https://www.econbiz.de/10003569985

Estimation of change-points in linear and nonlinear time series models

Ling, Shiqing - In: Econometric theory 32 (2016) 2, pp. 402-430

Persistent link: https://www.econbiz.de/10011578492

Double Generalized Threshold Models with constraint on the dispersion by the mean

Wu, K.Y.K.; Li, W.K. - In: Computational Statistics & Data Analysis 82 (2015) C, pp. 59-73

Generalized Threshold Model (GTM) is a non-linear time series model which generalizes the Threshold Autoregressive Model (TAR) to implement the idea of the Generalized Linear Model under the threshold time series framework. However, the dispersion parameter is usually assumed as constant in the...

Persistent link: https://www.econbiz.de/10011117692